Papers by Nurudeen Alabi
Open Journal of Statistics, 2016
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International Journal of Statistics and Applications, 2014
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International Journal of Statistics and Applications, 2015
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American Journal of Mathematics and Statistics, 2015
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Journal of Economics and International Finance, Aug 31, 2014
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This paper is an empirical analysis of provisional unrestricted level relationship between Nigeri... more This paper is an empirical analysis of provisional unrestricted level relationship between Nigerian domestic output measured by Gross Domestic Product (GDP) and government spending proxied by capital and recurrent expenditures in the presence of static regressors such as crude oil prices and federal government retained revenues. We estimated an ARDL(1,0,1) using a single-equation approach. Results showed that government expenditures have negative but statistically insignificant effects on domestic output in the long run. Similarly, negative short run effects were established amongst the variables. However, recurrent expenditure was statistically significant in the short run. Whilst federal government retained revenue have a positive and significant effect, crude oil price exhibited negative relationships with domestic output both at level and in the short run dynamics. Also a high speed of adjustment implied that Nigerian Gross Domestic Product is extremely sensitive to shocks on the government spending in the long-run. An upward trend forecast between 2014 and 2020 is an indication of the continued positive impact the government retained revenue will exert on the domestic output in the long-run.
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This paper employed the modified autoregressive distributed lag (ADRL) procedure to establish a u... more This paper employed the modified autoregressive distributed lag (ADRL) procedure to establish a univariate single level relationship existing between the Nigerian Stock Exchange (NSE) All-Share Index and three macroeconomic indicators such as Treasury bill rate, nominal exchange rate and inflation rate in Nigeria. A conditional restricted equilibrium correction model (ECM) was postulated with significant long-run relationship between NSE All-Share Index, exchange rate and inflation rate. The model relates exchange rate and inflation rate negatively with the All-Share Index in the long-run. Treasury bill rate have no long-run relationship with All-Share Index. The short-run dynamics indicated a negative causal relationship between All-Share Index and the three macroeconomic indicators. The results of this paper showed that All-Share index is slow to react to any disequilibrium caused by shocks on these macroeconomic indicators in the long-run. The 2008 global financial crisis had an insignificant negative effect on the NSE All-Share Index due to improved financial deepening. Monetary policy stability is crucial to price level control because inflation is a monetary phenomenon in Nigeria. Therefore, this paper propose that the efficient use of Treasury bills as apparatus of monetary policy (inflation-targeting) and major source of government financing is essential to the growth of the Nigerian stock market. In addition to efficient monetary policy through interest rate and most importantly exchange rate, a secure fiscal discipline through effective government spending will likely have a positive effect on the All-Share Index rapidly and directly.
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Bounds testing procedure is a powerful statistical tool in the estimation of level relationships ... more Bounds testing procedure is a powerful statistical tool in the estimation of level relationships when the underlying property of time series is entirely I(0), entirely I(1) or jointly cointegrated. A univariate framework for testing the existence of single level relationship between exchange rate, crude oil prices and inflation rate in Nigeria was postulated using ARDL (4,4,0) model in this paper. Bound testing as an extension of ARDL modelling uses F and t-statistics to test the significance of the lagged levels of the variables in a univariate equilibrium correction system when it is unclear if the data generating process underlying a time series is trend or first difference stationary. Empirical analysis shows that these macroeconomic variables have highly significant level relationship with exchange rate irrespective of the underlying properties of their series. The conditional level relationship model and the associated conditional unrestricted equilibrium correction model (ECM) in the long- and short-run relate crude oil prices negatively and inflation rate positively with exchange rate. The long run speed of adjustment to equilibrium reveals that exchange rate in Nigeria is slow to react to shocks on crude oil prices and inflation rate.
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bstract Establishing the nature of relationships between macroeconomic variables and stock market... more bstract Establishing the nature of relationships between macroeconomic variables and stock market returns are imperative to investors and understanding the stock market dynamics in any country. These relationships have been extensively studied in both emerging and the developed stock markets. By employing vector error correction and cointegration techniques, this current study established the statistically significant long-run and short-run causal relationships between macroeconomic variables and the stock market returns of FTSE100 and S&P500 stock market indexes in the United Kingdom and United States respectively. The macroeconomic variables employed include industrial production index, short-term interest rates, exchange rates, consumer price index and unemployment rates in addition to broad money supply M3 that was included as an exogenous variable. Also global financial crisis was introduced, as a dummy variable to capture structural breaks inherent in the data. Empirical results showed that significant long-run relationship existed between stock market returns and industrial production index, interest rates, and consumer price index in the United Kingdom while stock market returns in the United States was influenced by all variables except industrial production index. Furthermore, results indicated that it takes longer for stock market returns to adjust to its long-run equilibrium in the UK than in the US. In the short-run, industrial production index, short-term interest rates, and unemployment rates have no significant causal link with returns on FTSE100. Similarly, industrial production index and exchange rates have no significant short-run causality with returns on S&P500. Unconventional monetary policies (Quantitative Easing or Large-Scale Assets Purchases) adopted by Federal Reserve have positive impact on the S&P500 stock market returns.
Keywords Vector Error Correction, Cointegration, FTSE100, S&P500, Long-run, Equilibrium, Quantitative Easing, Financial Crisis

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This research work has employed vector error correction and cointegration techniques in order to ... more This research work has employed vector error correction and cointegration techniques in order to estimate the elasticity of real money demand to macroeconomic variables such as industrial production index, exchange rates and short-term interest rates in the United Kingdom. Also, global financial crisis was introduced as an impulse variable to capture structural breaks inherent in the series. Empirical results showed that long-run relationships existed between real money demand and industrial production index, short-term interest rates, and exchange rates in the United Kingdom. The study showed that in the long-run, real money demand had more than unity elasticity with industrial production index in both economies. Real money demand has an inelastic relationship with short-term interest rates and exchange rates. Furthermore, results indicated that it would take long time for real money demand to adjust to its long-run equilibrium. Impulse response analysis revealed that any increase in short term interest rates will have negative effects on the real money demand in the medium to long-term. Whilst real money demand in the United Kingdom tend to be more significant in forecasting the Euro zone money demand, the latter tends to be negatively statistically significant in the former real money demand model. The financial crisis witnessed globally had negative effects on real money demand in the United Kingdom.
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Book Reviews by Nurudeen Alabi
We employed generalized additive models (GAMs) with scatterplot smoothers such as cubic smoothing... more We employed generalized additive models (GAMs) with scatterplot smoothers such as cubic smoothing splines and local regression to establish non-linear relationships that exist between Nigeria’s domestic output proxy by gross domestic products and four macroeconomic variables such as recurrent and capital expenditures, crude oil prices and federal government retained earnings. Four flexible generalized additive models were postulated. These are smoothing splines, local regression, local quadratic regression and composite GAM. Generalized Cross-validation and leave-one-out re-sampling techniques were employed in determining the effective degrees of freedom and the window size or span for smooth splines and local regression additive models respectively. We compared models accuracy using the residual deviance for the GAMs. Smoothing Splines was selected through a nested analysis of deviance on the four postulated models. The minimized penalized residual sum of squares optimal tuning parameters
Ω = 1.2613x10-6, 2.0153x10-6, 7.9291x10-7 and 1.5286x10-7 for each smoothing functions on federal government retained earnings, crude oil prices, recurrent expenditure and capital expenditure respectively which control the tradeoff between goodness- of-fit and smoothness of the smoothing spline model. Analysis shows the federal government retained earnings and volatile crude oil prices are the major macroeconomic variables that cause instability in the growth of gross domestic producta in Nigeria. R programming language packages such as“splines”,“gam”,“ggplot2”,“boot”and“lattice” amongst others were employed throughout the analysis.
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Conference Presentations by Nurudeen Alabi
In this paper, we employed one of the long-standing conventional methods of cointegration to esti... more In this paper, we employed one of the long-standing conventional methods of cointegration to estimate the long run and short run real economic growth and financial deepening indicators such as turnover ratio as proxy for stock market liquidity, credit to private sector (CPS) and broad money supply (M2) relative to gross domestic product (GDP) in Nigeria. In line with existing literature, this paper established reasonable causal relationships among financial and economic growth indicators. Empirical analyses selected two cointegrating relationships between these macroeconomic and financial deepening indicators. On normalizing the VECM on real economic growth and stock market liquidity, the long-run relationships revealed statistically significant negative coefficients with other financial deepening indicators. The speed of adjustments to equilibrium in the four models of the vector error correction system (VECM) indicated that real economic growth adjusted significantly to financial deepening indicators. Based on a general to specific model postulation, the short run dynamics showed that stock market liquidity and the remaining two financial deepening indicators are statistically significant in the real economic growth model. Whilst there existed a negative short run relationship between real economic growth and stock market liquidity, real economic growth and CPS/GDP, a positive relation was derived between M2/GDP and real economic growth. However, the credit to private sector relative to GDP was more significant than its broad money supply counterpart. Whilst financial deepening due to M2 innovation is more favourable than the CPS during the period under review, stock market liquidity have the most significant negative effect on real economic growth in the short-run. Furthermore, impulse response function (IRF) analysis revealed that only shocks on M2/GDP would force a negative real economic growth response in the short- term. The forecasting power of the real economic growth model was strongest in 1989-1992; 1996- 1998; 2008-2012. These dates coincided with crucial periods of major regulatory and structural reforms in the financial sector and 2008 global financial crisis.
Keywords: Vector Error Correction, Cointegration, financial deepening, stock market liquidity
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We employed generalized additive models (GAMs) with scatterplot smoothers such as cubic smoothing... more We employed generalized additive models (GAMs) with scatterplot smoothers such as cubic smoothing splines and local regression to establish non-linear relationships that exist between Nigeria’s domestic output proxy by gross domestic products and four macroeconomic variables such as recurrent and capital expenditures, crude oil prices and federal government retained earnings. Four flexible generalized additive models were postulated. These are smoothing splines, local regression, local quadratic regression and composite GAM. Generalized Cross-validation and leave-one-out re-sampling techniques were employed in determining the effective degrees of freedom and the window size or span for smooth splines and local regression additive models respectively. We compared models accuracy using the residual deviance for the GAMs. Smoothing Splines was selected through a nested analysis of deviance on the four postulated models. The minimized penalized residual sum of squares optimal tuning parameters
Ω = 1.2613x10-6, 2.0153x10-6, 7.9291x10-7 and 1.5286x10-7 for each smoothing functions on federal government retained earnings, crude oil prices, recurrent expenditure and capital expenditure respectively which control the tradeoff between goodness- of-fit and smoothness of the smoothing spline model. Analysis shows the federal government retained earnings and volatile crude oil prices are the major macroeconomic variables that cause instability in the growth of gross domestic products in Nigeria. R programming language packages such as“splines”,“gam”,“ggplot2”,“boot”and“lattice” amongst others were employed throughout the analysis.
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The measured data of global solar radiation on horizontal surfaces sunshine hours and temperature... more The measured data of global solar radiation on horizontal surfaces sunshine hours and temperature for Ikeja with Latitude 6.390N, longitude 3.230E and altitude of 39.35 meters, during the period of (1990 – 2010) are analyzed. We employed generalized additive models (GAMs) with scatterplot smoothers such as cubic smoothing splines and nearest neighbours to establish non-linear relationships that exist between solar radiation and the two random covariates. Generalized Cross-validation re-sampling technique was employed in determining the effective degrees of freedom and the window size or span for smooth spline and local regression additive models respectively. We compared models accuracy using the residual deviance for the GAMs. Composite GAM was selected through a nested analysis of deviance on four postulated models. R programming language packages such as “splines”, “gam”,“ggplot2”,“boot”and“lattice” amongst others were employed throughout the analysis. The selected model is given as
Where, = predicted solar radiation, = calculated extraterrestrial solar radiation, Ks = sunshine ratio and ∆T = temperature difference (maximum minus minimum temperature). The developed model could be employed in predicting global solar radiation of a location that has the same geographical parameters as Ikeja, Lagos State, Nigeria.
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Papers by Nurudeen Alabi
Keywords Vector Error Correction, Cointegration, FTSE100, S&P500, Long-run, Equilibrium, Quantitative Easing, Financial Crisis

Book Reviews by Nurudeen Alabi
Ω = 1.2613x10-6, 2.0153x10-6, 7.9291x10-7 and 1.5286x10-7 for each smoothing functions on federal government retained earnings, crude oil prices, recurrent expenditure and capital expenditure respectively which control the tradeoff between goodness- of-fit and smoothness of the smoothing spline model. Analysis shows the federal government retained earnings and volatile crude oil prices are the major macroeconomic variables that cause instability in the growth of gross domestic producta in Nigeria. R programming language packages such as“splines”,“gam”,“ggplot2”,“boot”and“lattice” amongst others were employed throughout the analysis.
Conference Presentations by Nurudeen Alabi
Keywords: Vector Error Correction, Cointegration, financial deepening, stock market liquidity
Ω = 1.2613x10-6, 2.0153x10-6, 7.9291x10-7 and 1.5286x10-7 for each smoothing functions on federal government retained earnings, crude oil prices, recurrent expenditure and capital expenditure respectively which control the tradeoff between goodness- of-fit and smoothness of the smoothing spline model. Analysis shows the federal government retained earnings and volatile crude oil prices are the major macroeconomic variables that cause instability in the growth of gross domestic products in Nigeria. R programming language packages such as“splines”,“gam”,“ggplot2”,“boot”and“lattice” amongst others were employed throughout the analysis.
Where, = predicted solar radiation, = calculated extraterrestrial solar radiation, Ks = sunshine ratio and ∆T = temperature difference (maximum minus minimum temperature). The developed model could be employed in predicting global solar radiation of a location that has the same geographical parameters as Ikeja, Lagos State, Nigeria.
Keywords Vector Error Correction, Cointegration, FTSE100, S&P500, Long-run, Equilibrium, Quantitative Easing, Financial Crisis

Ω = 1.2613x10-6, 2.0153x10-6, 7.9291x10-7 and 1.5286x10-7 for each smoothing functions on federal government retained earnings, crude oil prices, recurrent expenditure and capital expenditure respectively which control the tradeoff between goodness- of-fit and smoothness of the smoothing spline model. Analysis shows the federal government retained earnings and volatile crude oil prices are the major macroeconomic variables that cause instability in the growth of gross domestic producta in Nigeria. R programming language packages such as“splines”,“gam”,“ggplot2”,“boot”and“lattice” amongst others were employed throughout the analysis.
Keywords: Vector Error Correction, Cointegration, financial deepening, stock market liquidity
Ω = 1.2613x10-6, 2.0153x10-6, 7.9291x10-7 and 1.5286x10-7 for each smoothing functions on federal government retained earnings, crude oil prices, recurrent expenditure and capital expenditure respectively which control the tradeoff between goodness- of-fit and smoothness of the smoothing spline model. Analysis shows the federal government retained earnings and volatile crude oil prices are the major macroeconomic variables that cause instability in the growth of gross domestic products in Nigeria. R programming language packages such as“splines”,“gam”,“ggplot2”,“boot”and“lattice” amongst others were employed throughout the analysis.
Where, = predicted solar radiation, = calculated extraterrestrial solar radiation, Ks = sunshine ratio and ∆T = temperature difference (maximum minus minimum temperature). The developed model could be employed in predicting global solar radiation of a location that has the same geographical parameters as Ikeja, Lagos State, Nigeria.